ANALISIS HUBUNGAN ANTARA PERILAKU PEMBERIAN KREDIT OLEH PERBANKAN DAN PERGERAKAN HARGA SAHAM Studi Empiris di Indonesia 2005:7 � 2013:1

• Main Authors: , EMIR FIDAUDDIN WIDYATMOKO, , A. Tony Prasetiantono, Ph.D.
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2014
• Subjects: ETD
• Online Access: https://repository.ugm.ac.id/129757/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=70154
• Institution: Universitas Gadjah Mada

This research is an empirical study about the relationship between credit behavior by banking and fluctuation of stock price. If we take a look to global financial crisis in 2008, there was a phenomenon in US where the payment failure of financial instrument subprime mortgage affected Dow Jones Industrial Average index by 53 percent in 1,5 years. Based on prior studies, there was different result found in several countries. Research in Japan 1994 and Malaysia 2006 concluded that there is one-direction positive causality relationship form stock price to credit behavior. While research in Malaysia 2012 found out that there is no relationship between the two matters. This research will be focused on credit behavior given by the bank proxied by the toal amount of credit given by the banks in Indonesia. Besides, the fluctuation of stock price will be proxied by IHSG because it included all stock prices in Indonesia. The relationship between these variables will be measured by VAR model and Granger Causality. The result proves that there is no causality relationship, both directions. One of the main reason is that the intervention given by the Indonesian monetary authorities who decrease BI rate in order to keep up with the low inflation number. The IRF result showed the response of negative credit variable to the stock price on 1st period and positive on 2nd period. EFDV result showed the contribution of stock price variance on 1st period and sourced from its own. The variance�s contribution on 1st period is the credit itself and on 2nd period is BI rate.